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2016/04/19

04/13貼文中既例子大家已經可以睇到期權金多寡對整個零和遊戲的主導性, 佢會直接影響住回報率及單一操作的長遠派彩比率

文中兩個例子點解會出現天堂與地獄既差別, 關鍵就在於當時的IV水平; 根據VHSI的紀錄顯示, 2014年6月尾VHSI約為11.X, 這是VHSI自誕生以來的歷史低位, 而2015年8月尾的VHSI約為41.X的三年高位, 因此同一個操作在兩個極端的IV水平下, 其長遠派彩比率自然就出現天堂與地獄的差別

 

在相關資產的表現未有出現結構性轉變的情況下, 其長遠結算範圍及比率是極其接近的(請參考04/09的貼文). 就好似賭大細咁, 開大開細既機會率長遠而言並不會大幅偏離50%(剔除圍骰因素), 但賭大細既賠率係舖舖一樣的, 而期權的賠率卻會因為IV的高低而出現偏離, 有些時候該偏離的幅度更會出現嚴重扭曲, 從04/13貼文中, 大家已經可以睇到不同例子中長遠派彩比率的天攘之別… 就等如賭大細的情況, 明明長遠開大開細的機會率都係50%左右, 但今舖買大就1賠3, 而買細只有1賠1.2, 從值摶率而言, 基本上你既選擇已經被大大地被限制…

 

雖然遇到以上情況你買大並不是代表你一定會贏, 同樣地買細都唔代表你一定會輸, 因為開大開細長遠既機會率其實都係五五波, 但可以肯定你買大所面對的風險與回報一定比買細為有利

 

以上就係我經常強調同主張既效律問題: 承擔較少的風險, 賺取更大的回報, 哩個就係<<攞佢命3000>>既核心運作原, 亦係基礎班既核心課題

 

待續… 請以Like支持~

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